Range breakoutlongResultados de Backtest @ BTCUSDT • 1 Hour
Esta estrategia entra una vez que la acción del precio rompe el rango de las últimas 20 velas, acompañada de un volumen de negociación elevado. Sale una vez que el precio cierra por debajo de una SMA(20). La idea es seguir las tendencias, aprovechando el impulso confirmado por el volumen.
Curva de Equidad
El backtest cubre 13.9 months de datos BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US), desde June 4, 2024 hasta July 25, 2025.
La curva de equidad es el rendimiento de la estrategia a lo largo del tiempo. Debes compararla con el rendimiento de Compra y Mantén del activo. En general, quieres que el área azul esté bien por encima del área gris.
El drawdown es cuántas pérdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico más alto de equidad. Compara esto con el drawdown del activo para ver si tu estrategia hace un trabajo decente de aislarte de la volatilidad bajista. En general, el área roja debe estar bien dentro del área gris.
Entonces, hemos hecho backtest de Range breakout en 13.9 months de velas BTCUSDT • 1 Hour. Este backtest resultó en 226 posiciones, con una tasa de ganancia promedio de 34% y una relación riesgo-recompensa de 2.04. Si asumes que la relación riesgo-recompensa de 2.04 se mantiene, necesitas una tasa de ganancia mínima de 32.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.50% vs 70.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -18.70% vs -30.60% para el activo
- Exposición: Exposición: 33.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 34.0%, vs 32.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.04
Con esa exposición en mente, puedes ver que para 34% tiempo-en-mercado, obtienes 0.71% del potencial alcista del activo, y 61.11% del potencial bajista del activo.
Range breakout: entrar en una posición cuando
All of the following: # Papa
60min Chart(high) > 60min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
60min Relative Volume (20, SMA, 1) > 1.5Range breakout: salir de una posición cuando
All of the following: # Delta 60min Chart(close) < 60min Range (20, 0), Middle
Range breakout @ BTCUSDT • 1 Hour (0.5%) explicado por Sarah
Sarah
AutorMadre de Dios, this strategy is a complete desastre! Let me tell you why you should throw this garbage straight to papelera.
First of all, a measly 0.5% net profit over almost 14 months while Bitcoin itself went up 70%? That's not just bad, that's catastrophicamente bad! You're basically paying commisions to your broker to lose money. The market exposure of 33.5% shows you're missing most of the actual moves.
The win rate is atrocious - only 34% of trades are profitable. Yes, yes, I can see the Risk/Reward ratio of 2.04 technically makes it mathematically viable, but those 11-trade losing streaks will destroy your account and your mental health. No trader with half a brain would tolerate such mediocre performance.
The most ridiculus thing is the -18.7% drawdown for such tiny returns. You're taking enormous risks for practicamente nothing! The negative Sharpe ratio just confirms what I already knew - this strategy is pure basura.
If you're thinking of trading this live, do yourself a favor and just buy-and-hold Bitcoin instead. Or better yet, go back to drawing board and create something that actually works. This strategy is dead on arrival.
Métricas tabulares de Range breakout sometido a backtest en BTCUSDT • 1 Hour
| Total de Operaciones | 226 | Beneficio Neto | 0.5% | Beneficio Compra y Mantén | 70.3% |
| Tasa de Ganancia | 34% | Ratio Riesgo/Recompensa | 2.04 | Máximo Drawdown | -18.7% |
| Máximo Drawdown del Activo | -30.6% | Exposición | 33.5% | Promedio de Velas en Posición | 13.8 |
| Ratio de Sharpe | -0.11 | Ratio de Sortino | 0.20 | Volatilidad Realizada | 29.84% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 2.9 | Promedio de Operaciones por Mes | 32.6 | Promedio de Operaciones por Día | 1.1 |
| Desv. Est. del Retorno | 2.0 | Desv. Est. de la Pérdida | 0.8 | Desv. Est. de la Ganancia | 2.2 |
| Expectativa | 0.0 | Beta | 0.32 |
Todos los backtests para Range breakout
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 26% | (0.4%/-0.5%) -0.80x | (-2.3%/-4.5%) 0.51x | 46 | 1.3 |
EURUSD • 1 Minute | 22% | (-0.5%/0.9%) -0.56x | (-0.6%/-0.7%) 0.86x | 22 | 2.8 |
GLD • 1 Minute | 32% | (0.6%/-1.4%) -0.43x | (-1.9%/-4.1%) 0.46x | 38 | 1.8 |
NVDA • 1 Minute | 25% | (7.8%/20.4%) 0.38x | (-3.7%/-5.3%) 0.70x | 34 | 3.0 |
PLTR • 1 Minute | 28% | (1.3%/15.0%) 0.09x | (-5.4%/-12.9%) 0.42x | 36 | 1.9 |
SPY • 1 Minute | 32% | (1.6%/6.6%) 0.24x | (-1.1%/-1.5%) 0.73x | 35 | 2.4 |
TSLA • 1 Minute | 26% | (0.7%/-0.2%) -3.50x | (-12.8%/-19.2%) 0.67x | 35 | 1.9 |
WMT • 1 Minute | 31% | (-0.5%/3.3%) -0.15x | (-3.2%/-5.1%) 0.63x | 32 | 2.0 |
BTCUSDT • 10 Minutes | 33% | (10.5%/14.3%) 0.73x | (-4.9%/-12.1%) 0.40x | 36 | 2.4 |
EURUSD • 10 Minutes | 23% | (1.1%/1.8%) 0.61x | (-1.2%/-4.3%) 0.28x | 39 | 1.8 |
GLD • 10 Minutes | 38% | (9.4%/35.8%) 0.26x | (-5.4%/-8.3%) 0.65x | 37 | 2.2 |
NVDA • 10 Minutes | 30% | (19.8%/37.4%) 0.53x | (-28.5%/-42.8%) 0.67x | 46 | 1.4 |
PLTR • 10 Minutes | 31% | (43.5%/467.7%) 0.09x | (-32.3%/-46.5%) 0.69x | 40 | 1.9 |
SPY • 10 Minutes | 33% | (5.1%/13.1%) 0.39x | (-9.7%/-20.7%) 0.47x | 39 | 1.8 |
TSLA • 10 Minutes | 28% | (30.7%/25.4%) 1.21x | (-21.4%/-55.3%) 0.39x | 40 | 1.9 |
WMT • 10 Minutes | 32% | (23.2%/39.5%) 0.59x | (-5.3%/-23.8%) 0.22x | 41 | 2.1 |
BTCUSDT • 1 Hour | 34% | (0.5%/70.3%) 0.01x | (-18.7%/-30.6%) 0.61x | 34 | 2.0 |
EURUSD • 1 Hour | 30% | (1.6%/7.1%) 0.23x | (-6.8%/-9.0%) 0.76x | 34 | 2.1 |
GLD • 1 Hour | 38% | (39.3%/122.5%) 0.32x | (-19.5%/-22.2%) 0.88x | 39 | 2.2 |
NVDA • 1 Hour | 44% | (555.6%/3243.4%) 0.17x | (-52.5%/-68.0%) 0.77x | 46 | 2.1 |
PLTR • 1 Hour | 38% | (449.7%/1466.7%) 0.31x | (-56.3%/-86.6%) 0.65x | 43 | 2.4 |
SPY • 1 Hour | 36% | (28.0%/107.0%) 0.26x | (-17.4%/-35.1%) 0.50x | 40 | 2.0 |
TSLA • 1 Hour | 39% | (1353.0%/1305.7%) 1.04x | (-40.8%/-75.1%) 0.54x | 39 | 3.1 |
WMT • 1 Hour | 33% | (60.9%/145.2%) 0.42x | (-15.7%/-26.9%) 0.58x | 39 | 2.4 |
BTCUSDT • Daily | 35% | (549.0%/1346.8%) 0.41x | (-54.7%/-76.6%) 0.71x | 47 | 3.3 |
GLD • Daily | 32% | (83.3%/592.8%) 0.14x | (-21.7%/-45.3%) 0.48x | 48 | 1.8 |
NVDA • Daily | 32% | (6469.1%/396269.9%) 0.02x | (-55.8%/-90.0%) 0.62x | 50 | 2.7 |
SPY • Daily | 22% | (90.1%/1344.4%) 0.07x | (-15.9%/-56.7%) 0.28x | 49 | 2.3 |
TSLA • Daily | 30% | (2791.1%/24273.6%) 0.11x | (-42.7%/-75.0%) 0.57x | 42 | 4.8 |
WMT • Daily | 30% | (30.4%/10116.3%) 0.00x | (-67.6%/-50.6%) 1.34x | 39 | 1.8 |